TBA
Ambitious mathematical models of highly complex natural phenomena are challenging to analyse, and more and more computationally expensive to evaluate. This is a particularly acute problem for many tasks of interest and numerical methods will tend to be slow, due to the complexity of the models, and potentially lead to sub-optimal solutions with high levels of uncertainty which needs to be accounted for and subsequently propagated in the statistical reasoning process. This talk will introduce our contributions to an emerging area of research defining a nexus of applied mathematics, statistical science and computer science, called "probabilistic numerics". The aim is to consider numerical problems from a statistical viewpoint, and as such provide numerical methods for which numerical error can be quantified and controlled in a probabilistic manner. This philosophy will be illustrated on problems ranging from predictive policing via crime modelling to computer vision, where probabilistic numerical methods provide a rich and essential quantification of the uncertainty associated with such models and their computation.
We revisit small-noise expansions in the spirit of Benarous, Baudoin-Ouyang, Deuschel-Friz-Jacquier-Violante for bivariate diffusions driven by fractional Brownian motions with different Hurst exponents. A particular focus is devoted to rough stochastic volatility models which have recently attracted considerable attention.
We derive suitable expansions (small-time, energy, tails) in these fractional stochastic volatility models and infer corresponding expansions for implied volatility. This sheds light (i) on the influence of the Hurst parameter in the time-decay of the smile and (ii) on the asymptotic behaviour of the tail of the smile, including higher orders.
We derive a Stratonovich-to-Skorohod integral conversion formula for a class of integrands which are path-level solutions to RDEs driven by Gaussian rough paths. This is done firstly by showing that this class lies in the domain of the Skorohod integral, and secondly, by appending the Riemann-sum approximants of the Skorohod integral with a suitable compensation term. To show the convergence of the Riemann-sum approximants, we utilize a novel characterization of the Cameron-Martin norm using higher dimensional Young-Stieltjes integrals. Moreover, in the case where complementary regularity is absent, i.e. when the integrand has finite p-variation and the integrator has finite q-variation but 1/p + 1/q <= 1, we give new and sufficient conditions for the convergence these Young integrals.
In this talk we discuss a utility-risk portfolio selection problem. By considering the first order condition for the objective function, we derive a primitive static problem, called Nonlinear Moment Problem, subject to a set of constraints involving nonlinear functions of “mean-field terms”, to completely characterize the optimal terminal wealth. Under a mild assumption on utility, we establish the existence of the optimal solutions for both utility-downside-risk and utility-strictly-convex-risk problems, their positive answers have long been missing in the literature. In particular, the existence result in utility-downside-risk problem is in contrast with that of mean-downside-risk problem considered in Jin-Yan-Zhou (2005) in which they prove the non-existence of optimal solution instead and we can show the same non-existence result via the corresponding Nonlinear Moment Problem. This is joint work with K.C. Wong (University of Hong Kong) and S.C.P. Yam (Chinese University of Hong Kong).
Given an abelian variety A over a number field k, its Kummer variety X is the quotient of A by the automorphism that sends each point P to -P. We study p-adic density and weak approximation on X by relating its rational points to rational points of quadratic twists of A. This leads to many examples of K3 surfaces over Q whose rational points lie dense in the p-adic topology, or in product topologies arising from p-adic topologies. Finally, the same method is used to prove that if the Brauer--Manin obstruction controls the failure of weak approximation on all Kummer varieties, then ranks of quadratic twists of (non-trivial) abelian varieties are unbounded. This last fact arises from joint work with David Holmes.
In this talk, we consider two disparate questions involving wave equations: (1) how singularities of solutions of subconformal focusing nonlinear wave equations form, and (2) when solutions of (linear and nonlinear) wave equations are determined by their data at infinity. In particular, we will show how tools from solving the second problem - a new family of global nonlinear Carleman estimates - can be used to establish some new results regarding the first question. Previous theorems by Merle and Zaag have established both upper and lower bounds on the local H¹-norm near noncharacteristic blow-up points for subconformal focusing NLW. In our main result, we show that this H¹-norm cannot concentrate along past timelike cones emanating from the blow-up point, i.e., that a significant amount of the action must occur near the corresponding past null cones.
These are joint works with Spyros Alexakis.
A recurring theme in attempts to understand the quantum theory of gravity is the idea of "Gravity as the square of Yang-Mills". In recent years this idea has been met with renewed energy, principally driven by a string of discoveries uncovering intriguing and powerful identities relating gravity and gauge scattering amplitudes. In an effort to develop this program further, we explore the relationship between both the global and local symmetries of (super)gravity and those of (super) Yang-Mills theories squared. In the context of global symmetries we begin by giving a unified description of D=3 super-Yang-Mills theory with N=1, 2, 4, 8 supersymmeties in terms of the four division algebras: reals, complex, quaternions and octonions. On taking the product of these multiplets we obtain a set of D=3 supergravity theories with global symmetries (U-dualities) belonging to the Freudenthal magic square: “division algebras squared” = “Yang-Mills squared”! By generalising to D=3,4,6,10 we uncover a magic pyramid of Lie algebras. We then turn our attention to local symmetries. Regarding gravity as the convolution of left and right Yang-Mills theories together with a spectator scalar field in the bi-adjoint representation, we derive in linearised approximation the gravitational symmetries of general covariance, p-form gauge invariance, local Lorentz invariance and local supersymmetry from the flat space Yang-Mills symmetries of local gauge invariance and global super-Poincaré. As a concrete example we focus on the new-minimal (12+12, N=1) off-shell version four-dimensional supergravity obtained by tensoring the off-shell (super) Yang-Mills multiplets (4+4, N =1) and (3+0, N =0).
I will present a survey of the main results about first and second order models of swarming where repulsion and attraction are modeled through pairwise potentials. We will mainly focus on the stability of the fascinating patterns that you get by random data particle simulations, flocks and mills, and their qualitative behavior.
Gradient-based optimisation techniques have become a common tool in the analysis of fluid systems. They have been applied to replace and extend large-scale matrix decompositions to compute optimal amplification and optimal frequency responses in unstable and stable flows. We will show how to efficiently extract linearised and adjoint information directly from nonlinear simulation codes and how to use this information for determining common flow characteristics. We also extend this framework to deal with the optimisation of less common norms. Examples from aero-acoustics and mixing will be presented.